Vixologist Squeeze Template

Source: Jim Carroll · @vixologist X post, May 11 2026 · Portfolio manager, momentum + vol strategies · Inspired by Thrasher 2017 but a distinct implementation

"When multiple compression signals fire simultaneously while SPX is in an uptrend, historical precedent is a sharp vol expansion — a volatility tsunami." — Vixologist (paraphrasing Thrasher's framing)

What This Monitor Tracks

• TTM Squeeze — Bollinger Bands (20, 2σ) contracting inside Keltner Channels (20, 2×ATR). Classic squeeze signal: ON when BB is fully inside KC.
• BBand Width % — width of Bollinger Bands as percent of midline, with a 20-day moving average. Compressed when current width is below MA and historically low.
• StdDev(10) of returns — 10-day rolling standard deviation of daily SVIX returns. Compressed when below its 20-day moving average and below the 25th historical percentile.
• ATR(10) — Average True Range over 10 days. Compressed when low. (Visualized, not part of the trigger.)
• SPX 3-day trend — required positive (SPX in uptrend) for the signal to qualify.

Signal Trigger

The dashboard card's alert fires when all three are true:

• TTM Squeeze is ENGAGED (BB inside KC)
• StdDev(10) is at or below the 25th percentile of the trailing 252-day distribution
• SPX 3-day return is positive (uptrend)

Underlying: SVIX, not VIX

Vixologist's template runs on SVIX (the −1× inverse VIX short-term ETN), not the VIX itself. Carroll's framing: SVIX compression on a daily chart signals that short-vol positioning is crowded and the return distribution has narrowed. When that unwinds, the move is fast.

This is a meaningful difference from Thrasher's paper, which runs on the VIX directly. SVIX and VIX move inversely, so compression in one tends to coincide with compression in the other — but not perfectly, and not on identical thresholds.

Diff vs Thrasher Paper

The Vixologist template is inspired by Thrasher's "clouds → rain" framing in the paper's introduction, but does not implement the paper's actual methodology. Both monitors run side-by-side because each captures something different: this one is the operational pattern Carroll posts about, the other is the original backtested signal.

Operational Details (this implementation)

• Data source: Yahoo Finance SVIX ETN daily OHLC via yfinance. Falls back to ^VIX if SVIX unavailable.
• Storage: SQLite table svix_compression in finance/research.db.
• Schedule: sentinel task svix-squeeze-check daily at 4:00 PM ET (weekdays, post-close).
• Alert: Telegram message when all three conditions fire simultaneously.
• Log: /var/lib/jarvis/data/squeeze-log.json — every fired signal recorded.

How to Use This Signal

1. Track the three stat cards — TTM Squeeze, BBand Width, StdDev(10). When all three turn warm/orange, the setup is approaching.
2. Verify SPX trend — the model only qualifies in uptrends. Falling SPX with compressed vol is a different (worse) regime.
3. Resolution window: 5–20 trading days — historical pattern is that vol expansion follows within roughly a month.
4. Cross-check with Thrasher Dispersion card — when both fire, conviction is strongest.
5. Exit triggers — TTM Squeeze releases, StdDev(10) breaks above its 20d MA, or VIX makes a major move (whichever comes first).

References

• Source post: @vixologist on X, May 11 2026
• Thrasher's framing (the inspiration): Thrasher Paper details
• Memory: reference_vixologist_thrasher_squeeze.md, reference_thrasher_squeeze_implementation.md
• Implementation: finance/scripts/svix_compression.py

Doc last updated: 2026-05-17. When the script or signal logic changes, update this page alongside the code.